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Derivation of stochastic Taylor methods for stochastic differential equations

This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equations (SDEs). The stochastic Taylor series is extended and truncated at certain terms to achieve the order of convergence of stochatsic Taylor methods for SDEs. The systematic derivation of the expansio...

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Main Authors: Noor Amalina Nisa, Ariffin, Norhayati, Rosli
Format: Article
Language:English
Published: Penerbit UTM Press 2017
Subjects:
QA Mathematics
Online Access:http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf
http://umpir.ump.edu.my/id/eprint/20729/
https://mjfas.utm.my/index.php/mjfas/article/view/633/pdf
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spelling my.ump.umpir.207292018-08-06T04:34:04Z http://umpir.ump.edu.my/id/eprint/20729/ Derivation of stochastic Taylor methods for stochastic differential equations Noor Amalina Nisa, Ariffin Norhayati, Rosli QA Mathematics This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equations (SDEs). The stochastic Taylor series is extended and truncated at certain terms to achieve the order of convergence of stochatsic Taylor methods for SDEs. The systematic derivation of the expansion of stochastic Taylor series formula is presented. Numerical methods of Euler, Milstein scheme and stochastic Taylor methods of order 2.0 are proposed. Penerbit UTM Press 2017-07-11 Article PeerReviewed pdf en cc_by_nc_4 http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf Noor Amalina Nisa, Ariffin and Norhayati, Rosli (2017) Derivation of stochastic Taylor methods for stochastic differential equations. Malaysian Journal of Fundamental and Applied Sciences, 13 (3). pp. 159-164. ISSN 2289-5981(print); 2289-599X(online) (Submitted) https://mjfas.utm.my/index.php/mjfas/article/view/633/pdf
institution Universiti Malaysia Pahang
building UMP Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Pahang
content_source UMP Institutional Repository
url_provider http://umpir.ump.edu.my/
language English
topic QA Mathematics
spellingShingle QA Mathematics
Noor Amalina Nisa, Ariffin
Norhayati, Rosli
Derivation of stochastic Taylor methods for stochastic differential equations
description This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equations (SDEs). The stochastic Taylor series is extended and truncated at certain terms to achieve the order of convergence of stochatsic Taylor methods for SDEs. The systematic derivation of the expansion of stochastic Taylor series formula is presented. Numerical methods of Euler, Milstein scheme and stochastic Taylor methods of order 2.0 are proposed.
format Article
author Noor Amalina Nisa, Ariffin
Norhayati, Rosli
author_facet Noor Amalina Nisa, Ariffin
Norhayati, Rosli
author_sort Noor Amalina Nisa, Ariffin
title Derivation of stochastic Taylor methods for stochastic differential equations
title_short Derivation of stochastic Taylor methods for stochastic differential equations
title_full Derivation of stochastic Taylor methods for stochastic differential equations
title_fullStr Derivation of stochastic Taylor methods for stochastic differential equations
title_full_unstemmed Derivation of stochastic Taylor methods for stochastic differential equations
title_sort derivation of stochastic taylor methods for stochastic differential equations
publisher Penerbit UTM Press
publishDate 2017
url http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf
http://umpir.ump.edu.my/id/eprint/20729/
https://mjfas.utm.my/index.php/mjfas/article/view/633/pdf
_version_ 1643668952273911808
score 13.209306

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